Head of the financial economics research division at the Banque de France (Paris).
This is a private website. The views expressed here are my own and do not necessarily reflect those of the Banque de France or the Eurosystem.
Facilis ipsum reprehenderit nemo
Facilis ipsum reprehenderit nemo
Facilis ipsum reprehenderit nemo
with M. Girotti, Finance Research Letters, 56, 104061.
We study how the distribution of excess liquidity amongst banks alters the transmission of policy rate hikes to bank interest rates. Using a difference-in-difference approach, we measure the difference in the pricing behavior of the 19 euro-area banking systems depending on their excess liquidity holdings when the European Central Bank’s Deposit Facility Rate (DFR) increases. According to our estimations, every 100 bp increase in the DFR, banking systems holding one additional standard deviation of excess liquidity apply a 1.9 bp higher interest rate on new checking accounts and between 3.2 and 6.8 bp lower interest rates on new loans.
with A. Berthou and J.-S. Mésonnier, Journal of International Economics, 135, 103569.
The cost of hedging against this risk represents an additional trade cost for exporters, which is specific to the targeted destination. We exploit an episode of heightened tensions in the USD/EUR foreign exchange market in July 2011, which increased the cost of hedging against US dollar fluctuations for French exporters. we show that exporters with a higher propensity to use hedging instruments reduced more their exports to “US dollar destinations” after this shock.
with S. Manganelli and B. Mojon, Journal of Risk and Financial Management, 11-74, 1-19.
We analyse the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. In 2011–2012, high credit risk premia were accompanied by strong and persistent signs of market fragmentation in Italy and Spain (but not in France)
with Avouyi-Dovi, S. and P. Sevestre, Journal of Banking and Finance, 79, 74-94.
We assess the slowdown in the transmission mechanism of the monetary policy over the last crises. Impediments to the transmission of monetary rates depend on the heterogeneity in banks marginal costs and therefore, its risks.
with Fougère, D., Golfier, C. and E. Kremp, Economie et Statistique, 462, 69-97
La crise de 2008 s'est traduite par une accélération des défaillances. Elle est à l'origine d'un quart à la moitié des défaillances observées entre 2008 et 2010 en France, selon les secteurs.
with Bonleu, A. and G. Cette, Applied Economics, 45, 3483-3494.
We analyze firms' capital retirement over the businness cycle. Wear and tear effect is small and firms' capital retirement is mostly counteryclical.
with Verdugo, G. and H. Fraisse, Revue Économique, 2012(6), 33-65.
La baisse des rendements de l'éducation et de l'expérience a produit une structure des salaires en 2008 parmi les plus égalitaires jamais observées en France depuis les années 1960
with Mendes, R. and G.J. van den Berg, Journal of Business Economics and Statistics, 30(3), 468-480.
Matching between employers and employees can impact job-to-job mobility. We discuss and estimate a reduced form model capturing this feature. We find a positive correlation between unobserved worker and firm characteristics
with M. Picchio, Economics Letters, 106(3), 241-243
We show that lagged duration dependence is non-parametrically identified in mixed proportional hazard models for duration data, in the presence of competing risks and consecutive spells.
with H. Le Bihan, Economics Letters, Revue de l'OFCE, 112, 161-168.
La revalorisation du SMIC horaire peut être plus rapide que celle du salaire horaire de base ouvrier. Cet événement est toutefois très rare lorsque la volatilité macroénomique est faible
Statistical Papers, 50(3), 481-499.
A general procedure to estimate Cox models with several random effects. It is far more quicker and stable than the usual EM algorithm
with Boockmann, B., Djurdjevic, D. and F. Laisney, Annales d'Economie et de Statistique, 89(1), 193-214.
We show that the ratification of ILO conventions depends more on the convention itself than on the ratifying country
with Mendes, R. et G.J. van den Berg, Revue Economique, 59(3), 631-639.
On mesure la corrélation entre les inobservables des employeurs et ceux des employés dans la mobilité professionnelle
Bulletin Français d'Actuariat, 15(8), 2-29.
Une revue de la littérature sur les modèles de Cox avec hétérogénéité inobservée, s'intéressant à la spécification, l'identification et l'estimation
with Mattia Girotti and Jean-Guillaume Sahuc (pdf)
with Mattia Girotti (pdf)
with Antoine Berthou and Jean-Stéphane Mésonnier (pdf)
with Simone Manganelli and Benoît Mojon (pdf) Fragmentation Indicator
with Sanvi Avouyi-Dovi and Patrick Sevestre (pdf)
with Denis Fougère, Cécile Golfier and Elisabeth Kremp (pdf)
with Sanvi Avouyi-Dovi and Patrick Sevestre (pdf)
with Gregory Verdugo and Henri Fraisse (pdf)
with Antoine Bonleu and Gilbert Cette (pdf)
with Patrick Sevestre (pdf)
with Matteo Picchio (pdf). Previous version available at ECON (pdf).
with Bernhard Boockmann, Dragana Djurdjevic, Guillaume Horny and François Laisney (pdf). Previous version available at the ZEW (pdf).
with Rute Mendes and Gerard J. van den Berg (pdf). Also available at the IFAU (pdf)
.with L. Bê Duc, Quarterly Selection of Articles - Banque de France Bulletins, 40, 19-27.
Structural Issue Report 2013, ECB Occasional Paper Series, 151.
with F. Savignac and P. Sevestre, Quarterly Selection of Articles - Banque de France Bulletins, 26, 79-82.
with Montornès, J., Sauner-Leroy, J.-B. and S. Tarrieu, Quarterly Selection of Articles - Banque de France Bulletins, 17, 5-19.
Modèles de durée multivariés avec hétérogénéité multiple: applications au marché du travail.
Awards: Accessit to the Prize of the Association Française des Sciences Economiques, 2007.